Asymptotic properties of duration-based VaR backtests
type: Item
instance of: scholarly article
title: Asymptotic properties of duration-based VaR backtests
author: Marta Malecka
published in: Statistics \& Risk Modeling
publication date: 2022-11-04T00:00:00Z
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 7612251
zbMATH Keywords: VaR test
zbMATH Keywords: geometric test
zbMATH Keywords: geometric-VaR test
zbMATH Keywords: Gini coefficient
zbMATH Keywords: test size
zbMATH Keywords: test power
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: strm-2021-0019
OpenAlex ID: W4286111523
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DOI: 10.1515/STRM-2021-0019
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description: scientific article; zbMATH DE number 7612251